DORSEY WRIGHT TECHNICAL LEADERS INDEX FAMILY METHODOLOGY

Transcription

1 DORSEY WRIGHT TECHNICAL LEADERS INDEX FAMILY METHODOLOGY April 2017

2 TABLE OF CONTENTS

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4 1. INTRODUCTION This document provides the methodology used to calculate the Dorsey Wright Family ( The Family ). The Family consists of more than 30 Indexes covering various market segments, regions and sectors. To be eligible for inclusion in The Family, a security must have powerful relative strength characteristics. The Family is constructed pursuant to Dorsey, Wright & Associates, LLC's proprietary methodology which takes into account, among other factors, the performance of each of the largest companies in the eligible universe as compared to benchmark indexes. Appendix A includes a table of index names, symbols and further descriptions on each index. 2. SECURITY ELIGIBILITY 2.1 OVERVIEW OF SELECTION CRITERIA FOR THE TECHNICAL LEADERS INDEX FAMILY To be eligible for inclusion in the Dorsey Wright (DWTL), an Index Security 1 must meet the following criteria: be a member of the NASDAQ US Benchmark Index (NQUSB); ranked in the top 1000 by market capitalization; have a minimum three-month average daily dollar trading volume of $1 million; the security must be classified as either a common stock or shares of beneficial interest of REIT; one security per issuer is permitted. If an issuer has multiple securities, the security selected for possible inclusion into the Index will be based on DWA s proprietary screening; may not be issued by an issuer currently in bankruptcy proceedings; may not have entered into a definitive agreement or other arrangement which would likely result in the security no longer being Index eligible; and may not have annual financial statements with an audit opinion that is currently withdrawn. All securities in the Index universe are ranked using a proprietary relative strength (momentum) measure. Each security s score is based on intermediate and long term price movements relative to a representative market benchmark. The Index is rebalanced and reconstituted at the end of each calendar quarter. Approximately the top 100 securities are selected for the Index. The Index weights are determined by the scores of each security in the Index. Securities with higher scores receive larger weights in the index. There are no sector constraints

5 placed on the Index To be eligible for inclusion in the Dorsey Wright Technical Leaders Sector Indexes (DWBM (Basic Materials), DWCC (Consumer Cyclicals), DWCS (Consumer Staples), DWEN (Energy), DWFN (Financials), DWHC (Healthcare), DWIDX (Industrials), DWTY (Technology) & DWUT (Utilities)), an Index Security must meet the following criteria: be a member of the NASDAQ US Benchmark Index (NQUSB); ranked in the top 2000 by market capitalization; designated to a sector based on DWA s proprietary industry classification system; have a minimum three-month average daily dollar trading volume of $1 million; the security must be classified as either a common stock or shares of beneficial interest of REIT; one security per issuer is permitted. If an issuer has multiple securities, the security selected for possible inclusion into the Index will be based on DWA s proprietary screening; may not be issued by an issuer currently in bankruptcy proceedings; may not have entered into a definitive agreement or other arrangement which would likely result in the security no longer being Index eligible; and may not have annual financial statements with an audit opinion that is currently withdrawn. All securities in each Index universe are ranked using a proprietary relative strength (momentum) measure. Each security s score is based on intermediate and long term price movements relative to a representative market benchmark. The Indexes are rebalanced and reconstituted at the end of each calendar quarter. A minimum of 30 securities are selected for each Index. The Index weights are determined by the scores of each security in their respective Index. Securities with higher scores receive larger weights in the Index. There are no sector constraints placed on the Index To be eligible for inclusion in the Dorsey Wright NASDAQ (DWANQTL), an Index Security must meet the following criteria: be a member of the NASDAQ US Benchmark Index (NQUSB) except for US listed ADRs or foreign securities trading on The Nasdaq Stock Market; ranked in the top 1000 by market capitalization; have a minimum three-month average daily dollar trading volume of $1 million; the security must be classified as either a common stock, ordinary share, depositary receipt, or shares of beneficial interest of REIT; and one security per issuer is permitted. If an issuer has multiple securities, the security selected for possible inclusion into the Index will be based on DWA s proprietary screening; may not have entered into a definitive agreement or other arrangement which would likely result in the security no longer being Index eligible; may not have annual financial statements with an audit opinion that is currently withdrawn. All securities in the Index universe are ranked using a proprietary relative strength (momentum) measure. Each

6 security s score is based on intermediate and long term price movements relative to a representative market benchmark. The Index is rebalanced and reconstituted at the end of each calendar quarter. Approximately the top 100 securities are selected for the Index. The Index weights are determined by the scores of each security in the Index. Securities with higher scores receive larger weights in the index. There are no sector constraints placed on the Index To be eligible for inclusion in the Dorsey Wright SmallCap (DWATLSC), an Index Security must meet the following criteria: be a member of the NASDAQ US Benchmark Index (NQUSB); ranked by market capitalization; have a minimum three-month average daily dollar trading volume of $1 million; the security must be classified as either a common stock or shares of beneficial interest of REIT; one security per issuer is permitted. If an issuer has multiple securities, the security selected for possible inclusion into the Index will be based on DWA s proprietary screening; may not have entered into a definitive agreement or other arrangement which would likely result in the security no longer being Index eligible; and may not have annual financial statements with an audit opinion that is currently withdrawn. All securities in the Index universe are ranked using a proprietary relative strength (momentum) measure. Each security s score is based on intermediate and long term price movements relative to a representative market benchmark. The Index is rebalanced and reconstituted at the end of each calendar quarter. Approximately the top 200 securities are selected for the Index. The Index weights are determined by the scores of each security in the Index. Securities with higher scores receive larger weights in the index. There are no sector constraints placed on the Index To be eligible for inclusion in the Dorsey Wright Developed Markets (DWADM), an Index Security must meet the following criteria: be a member of the NASDAQ Developed Markets Ex United States Index (NQDMXUS) except for US listed ADRs or foreign listings; ranked in the top 1000 by market capitalization; have a minimum three-month average daily dollar trading volume of $1 million; the security must be classified as either a common stock, ordinary share, depositary receipt, or shares of beneficial interest of REIT; one security per issuer is permitted. If an issuer has multiple securities, the security selected for possible inclusion into the Index will be based on DWA s proprietary screening; may not have entered into a definitive agreement or other arrangement which would likely result in the security no longer being Index eligible; and may not have annual financial statements with an audit opinion that is currently withdrawn. All securities in the Index universe are ranked using a proprietary relative strength (momentum) measure. Each security s score is based on intermediate and long term price movements relative to a representative market benchmark. The Index is rebalanced and reconstituted at the end of each calendar quarter. Approximately the top 100 securities are selected for the Index. The Index weights are determined by the scores of each security in

7 the Index. Securities with higher scores receive larger weights in the index. There are no sector constraints placed on the Index To be eligible for inclusion in the Dorsey Wright Emerging Markets (DWAEM), an Index Security must meet the following criteria: be a member of the NASDAQ Emerging Markets Index (NQEM) except for US listed ADRs or foreign listings; ranked in the top 1000 by market capitalization; have a minimum three-month average daily dollar trading volume of $1 million; the security must be classified as either a common stock, ordinary share, depositary receipt, or shares of beneficial interest of REIT; one security per issuer is permitted. If an issuer has multiple securities, the security selected for possible inclusion into the Index will be based on DWA s proprietary screening; may not have entered into a definitive agreement or other arrangement which would likely result in the security no longer being Index eligible; and may not have annual financial statements with an audit opinion that is currently withdrawn. All securities in the Index universe are ranked using a proprietary relative strength (momentum) measure. Each security s score is based on intermediate and long term price movements relative to a representative market benchmark. The Index is rebalanced and reconstituted at the end of each calendar quarter. Approximately the top 100 securities are selected for the Index. The Index weights are determined by the scores of each security in the Index. Securities with higher scores receive larger weights in the index. There are no sector constraints placed on the Index. 3. INDEX CALCULATIONS The Family is a modified market capitalization weighted index. Two to three versions of each of the Indexes are calculated: price return Index, gross total return Index and net total return Index. The price return Index is ordinarily calculated without regard to cash dividends on Index Securities. The gross total return Index reinvests cash dividends in the Index on the ex-date. The dividend is reinvested in all the Index Securities proportionally to their respective Index weights. The net total return Index reinvests cash dividends after deduction of non-resident withholding tax rate who do not benefit from double taxation treaties. An Index Security s withholding tax rate is based on the general tax rate of the Index Security s country of incorporation. All Index versions reflect extraordinary cash distributions. 3.1 LAST SALE PRICE The Last Sale Price refers to the last regular way trade reported on such security s Index Market. The Index Market is the listing market for which prices are received and used by Nasdaq s in the Index calculation and generally will represent the most liquid trading market of the Index Security. If a security does not trade on its Index Market on a given day or the Index Market has not opened for trading, the most recent last sale price from the Index Market (adjusted for corporate actions, if any) is used. For

8 securities where Nasdaq is Index Market, the Last Sale Price may be the Nasdaq Official Closing Price (NOCP) when Nasdaq is closed. If an Index Security is removed from an Index, it will ordinarily be removed at its Last Sale Price. If, however, at the time of its removal the Index Security is halted from trading on its Index Market and a Last Sale Price cannot readily be determined, the Index Security may, at Nasdaq s discretion, be removed at a price of $ This price will be applied to the Index Security after the close of all the trading markets in the Index but prior to the time the official closing value of the Index is disseminated. 3.2 FOREIGN EXCHANGE RATE The Family uses the WM Company, Closing Spot Rates at 16:00:00 UK time in the calculation of the closing Index Values. SIX Financial Information Intraday Spot Rates are applied to the real time Index calculations during the trading day. 3.3 INDEX SHARES Index Shares value is the number of shares in the Index for an Index Security. 3.4 INDEX SECURITY MARKET VALUE AND INDEX MARKET VALUE The Index Security Market Value is the Last Sale Price of the Index Security multiplied by its Index Shares, converted into the Index currency. The Index Market Value is the aggregate of each of the Index Security s Market Value. 3.5 PRICE RETURN DIVISOR The Divisor serves the purpose of scaling an Index Market Value to a lower order of magnitude which is recommended for reporting purposes. The Divisor is adjusted to ensure that changes in Index Securities either by corporate actions or index participation occurring outside of trading hours do not affect the value of the Index. All Divisor changes occur after the close of Index Security markets contained in the Index. The Price Return Index Divisor for day t is calculated as the ratio of the Start Of Day (SOD) market value and the previous day index value as follows: Price Return Index Divisor t = Index SOD Market Value t Index Value t PRICE RETURN INDEX VALUE CALCULATION The Price Return Index value reflects changes in market value of Index Securities during the trading day and is calculated without regard to ordinary cash dividends, but includes special dividends and the formula is as follows:

9 Price Return Index t = Index Market Value t Index Divisor t 3.7 GROSS TOTAL RETURN INDEX The Gross Total Return Index value reflects ordinary cash and special dividends and the formula is as follows: Gross Total Return Index t = Gross Total Return Index t 1 x Price Return Index t + IDP Price Return Index t 1 Gross Total Return Index t = the value of the Gross Total Return Index on current day Gross Total Return Index t 1 = the previous day ' s closing Gross Total Return Index value Price Return Index t = the value of the Price Return Index on current day Price Return Index t 1 = the previous day ' s closing Price Return Index value IDP(Index Dividend Points) = Index Dividend Market Value t Price Return Index Divisor t Index Dividend Market Value t = sum of the Index Security Dividend Market Values (SOD or EOD) for all Index Securities on current day Index Security Dividend Market Value t = dividend per share, for Index Security with ex-dividend date on the current day, multiplied by the Index Shares of that Index Security multiplied by Fx rate t 1 Fx rate t 1 is the previous day's WM Company, Closing Spot Rates at 16:00:00 UK 3.8 NET TOTAL RETURN INDEX The Net Total Return Index value reflects ordinary cash and special dividends adjusted for withholding tax rates (WTR as defined for each country is found in Appendix D and the formula is as follows): Net Total Return Index t = Net Total Return Index t 1 x Net Price Return Index t + NetIDP t Net Price Return Index t 1 Net Total Return Index t = the value of the Net Total Return Index on current day Net Total Return Index t 1 = the previous day ' s closing Net Total Return Index value Net Price Return Index t = the value of the Net Price Return Index on current day Net Price Return Index t 1 = the previous day ' s closing Net Price Return Index value Net Price Return Index t = Net Price Return Index Market Value t Net Price Return Index Divisor t Net Price Return Index value is not publically distributed. It is calculated only as the basis for the Net Total Return Index.

10 Net IDP(Net Index Dividend Points) = Index Net Dividend Market Value t Net Price Return Index Divisor t Net Index Dividend Market Value t = sum of the Security Dividend Market Values (SOD or EOD) adjusted for withholding tax rate (WTR) for all Index Securities on current day Net Index Security Dividend Market Value t = dividend per share adjusted for withholding tax rate (WTR) for Index Security with ex-dividend date on the current day multiplied by the Index Shares of that Index Security multiplied by Fx rate t 1 Fx rate t 1 is the previous day's WM Company, Closing Spot Rate at 16:00:00 UK 4. INDEX DISSEMINATION The Index Values for DWTL, DWANQTL, DWBM, DWCC, DWCS, DWEN, DWFN, DWHC, DWIDX, DWTY, DWUT and DWATLSC are calculated in United States Dollars (USD) during the US. market trading day and are disseminated once per second. The Index Values for DWADM and DWAEM are calculated five (5) days a week, Monday through Friday, starting by the earliest time zone Asia/Tokyo and close by the latest time zone America/New York in United States Dollars (USD). 5. INDEX MAINTENANCE 5.1 INDEX REBALANCING The Indexes employ a modified market capitalization weighted methodology. At each quarter, the Indexes are rebalanced by weighting each Index Security by their proprietary relative strength score. A final check is run to ensure that all securities with Index weights greater than 5% do not, in aggregate, exceed 25%. If this occurs, a redistribution of weight from these issuers issues will take place until the rule is met. The process is repeated, if necessary, to derive the final weights.

11 The weights of the Index Securities are determined on the third Friday of March, June, September and December. Each Index Security s weight is then multiplied by $1 trillion. The market capitalization of each Index Security is then divided by the closing price of the third Friday of March, June, September and December to determine Index Shares. For example, if the third Friday of an evaluation month is a US exchange holiday, the prior trading day will be used to determine weights of Index Securities. The changes are made effective after the close of the last trading day in March, June, September and December. For the effective date of changes, all indexes will follow a US holiday schedule, except for the Dorsey Wright Developed Markets Technical Leaders Index (DWADM) and Dorsey Wright Emerging Markets (DWAEM), which will follow a global schedule. For example, if the first trading day is a US holiday, all changes will be made effective the day following the US holiday, except for DWADM and DWAEM, which will become effective on the first trading day. 5.2 INDEX SECURITY CHANGES If at any time during the year other than a Quarterly Evaluation, an Index Security no longer meets the Eligibility Criteria, or is otherwise determined to have become ineligible for inclusion in the Index(es), the Index Security is removed from its Index and is not replaced. Index Securities will be removed at their Last Sale Price in accordance with Section 3.1 Last Sale Price, adjusted by the WM Company, Closing Spot Rate. In the case of mergers and acquisitions, the Index Security will be removed the day following the shareholder vote or the expected expiration of the tender offer, provided the acquisition is not contested. In the event the acquisition is contested, the deletion will occur once results have been received that indicate the acquisition will likely be successful. If the approval is by written consent, then the removal will occur as soon as reasonably practical BANKRUPTCY If a company files for bankruptcy, the Index Security will be removed from the Index as soon as practicable thereafter. The value of the Index Security will be considered $ , if no other applicable price can be observed on the Index Market. 5.3 INDEX SHARE CHANGES Index Share changes are not made during the quarter; however, changes arising from stock dividends and stock splits are made to the Index on the evening prior to the effective date of such corporate actions. In the case of certain spin-offs or rights issuances, the price of the Index Security is adjusted. 6. CORPORATE ACTIONS The following corporate actions will be made effective in the Index on the ex-date. If there is no ex-date announced by the Index Exchange, there will be no adjustment to the Index as a result of a corporate action.

12 6.1 STOCK SPLIT AND STOCK DIVIDEND A stock split and stock dividend is the action of an Index Security increasing its Index Shares and decreasing the par value in proportion. There is no flow of capital into or out of the company. The number of Index Shares increases but the market capitalization of the company remains unchanged. The price of the Index Security is adjusted downward to reflect the ratio of a stock split and stock dividend and a corresponding inverse adjustment to the Index Shares is made. 6.2 REVERSE STOCK SPLIT A reverse stock split is the action of an Index Security decreasing its Index Shares and increasing the par value in proportion. There is no flow of capital into or out of the company. The number of Index Shares decreases but the market capitalization of the company remains unchanged. The price of the Index Security is adjusted upward to reflect the ratio of the reverse stock split and a corresponding inverse adjustment to the Index Shares is made. 6.3 SPECIAL CASH DIVIDENDS A dividend is considered special if the information provided by the listing Exchange in their announcement of the ex-date indicates that the dividend is special. Other nomenclature for a special dividend may be (but not limited to) extra, extraordinary, non-recurring, one-time, unusual, etc. The price of the Index Security is adjusted for the amount of the special cash dividend. The divisor is adjusted to ensure that there is no discontinuity in the value of the Index which might otherwise be caused by any such change. 6.4 CASH AND STOCK DIVIDENDS If an Index Security is paying a cash and stock dividend on the same date, the cash dividend is applied before the stock dividend unless otherwise indicated in the information provided by the Exchange. Additionally, in the case of an optional dividend which allows the holder to choose between receiving cash or stock, the adjustment will be made in the manner the dividend has been announced by the Exchange. 6.5 STOCK DISTRIBUTION OF ANOTHER SECURITY If an Index Security is distributing shares of a different security, the value of the Index Security will be adjusted downward to reflect the ratio of the distribution. There is no adjustment to Index Shares. If the security being distributed is another class of common shares of the same Issuer, the value of the existing Index Security will be adjusted downward to reflect the ratio of the distribution with no adjustment to Index Shares, and the new class of shares is not added to the index. The divisor is adjusted to ensure that there is no discontinuity in the value of the Index which might otherwise be caused by any such change.

13 6.6 SPIN-OFFS If an Index Security is spinning off a security, the value of the Index Security will be adjusted downward to reflect the ratio of the distribution. There is no adjustment to Index Shares. If a when-issued market is established for the spinco, the price of the Index Security is adjusted downward by the value of the spinoff. The value of the spin-off is determined by multiplying the spin-off ratio by the when-issued price. In the event the value of the spinoff has not been established as indicated above, then no price adjustment is made to the Index Security. The new security resulting from the spin-off transaction is not added to the Index. The divisor is adjusted to ensure that there is no discontinuity in the value of the Index which might otherwise be caused by any such change. 6.7 RIGHTS OFFERINGS The price of an Index Security is adjusted on the ex-date for rights offerings if the rights are transferable and has a subscription price on an equivalent per share basis that is less than the closing price of the Index Security the right entitles a holder to purchase (the Underlying Security ) on the day prior to the ex-date (in-the-money). The price of the Index Security is adjusted downward for the value of the right. The value of the right is determined by the previous Last Sale Price (LSP) of the Underlying Security minus the sum of the Subscription Price of the right plus the cash dividend of the Underlying Security, if any, divided by the number of rights required to purchase one share, plus one. There are no changes to the Index Shares. The divisor is adjusted to ensure that there is no discontinuity in the value of the Index which might otherwise be caused by any such changes.

14 7. GENERAL ANNOUNCEMENT POLICY Nasdaq announces Index-related information via our premier service the Global Index Watch (GIW) at Generally, the list of additions and deletions as a result of each Quarterly Evaluation is publicly announced via an announcement on the Global Index Watch (GIW). Corporate actions are implemented in the Indexes in accordance with the Index maintenance rules. Announcements are made prior to the effective date of the corporate actions. In the event that a change has been made to an Index intraday, an announcement will be made to inform clients of the change. In the event that an Index calculation has been corrected historically, an announcement will be provided and clients will be informed to update their databases accordingly.

15 8. DISCRETIONARY ADJUSTMENTS Nasdaq may, from time to time, exercise reasonable discretion as it deems appropriate in order to ensure Index integrity including, but not limited to, quantitative inclusion criteria. Nasdaq may also, due to special circumstances, if deemed essential, apply discretionary adjustments to ensure and maintain the high quality of the index construction and calculation. Nasdaq does not guarantee that any Index accurately reflects future market performance.

16 9. APPENDICES APPENDIX A DORSEY WRIGHT TECHNICAL LEADERS INDEX FAMILY DESCRIPTIONS Symbol Index Name Description Base Date Base Value DWTL DWTLTR Dorsey Wright Technical Leaders Index Dorsey Wright Technical Leaders Total Return Index The Dorsey Wright Technical Leaders Index selects approximately 100 US-listed stocks with powerful relative strength characteristics. The Index is constructed pursuant to Dorsey, Wright & Associates, LLC's proprietary methodology, which takes into account, among other factors, the performance of each of the approximately 1,000 largest companies in the eligible universe as compared to a benchmark index. 1/2/ DWBM DWBMTR Dorsey Wright Basic Materials Technical Leaders Index Dorsey Wright Basic Materials Technical Leaders Total Return Index The Dorsey Wright Basic Materials Technical Leaders Index selects a minimum of 30 securities with powerful relative strength characteristics from the Basic Materials sector. 3/18/ DWCC DWCCTR Dorsey Wright Consumer Cyclicals Technical Leaders Index Dorsey Wright Consumer Cyclicals Technical Leaders Total Return Index The Dorsey Wright Consumer Cyclicals Technical Leaders Index selects a minimum of 30 securities with powerful relative strength characteristics from the Consumer Cyclicals sector. 3/18/

17 DWCS DWCSTR Dorsey Wright Consumer Staples Technical Leaders Index Dorsey Wright Consumer Staples Technical Leaders Total Return Index The Dorsey Wright Consumer Staples Technical Leaders Index selects a minimum of 30 securities with powerful relative strength characteristics from the Consumer Staples sector. 3/18/ DWEN DWENTR Dorsey Wright Energy Technical LeadersIndex Dorsey Wright Energy Technical Leaders Total Return Index The Dorsey Wright Energy selects a minimum of 30 securities with powerful relative strength characteristics from the Energy sector. 3/18/ DWFN DWFNTR Dorsey Wright Financials Dorsey Wright Financials Technical Leaders Total Return Index The Dorsey Wright Financials selects a minimum of 30 securities with powerful relative strength characteristics from the Financials sector. 3/18/ DWHC DWHCTR Dorsey Wright Healthcare Dorsey Wright Healthcare Technical Leaders Total Return Index The Dorsey Wright Healthcare selects a minimum of 30 securities with powerful relative strength characteristics from the Healthcare sector. 3/18/ DWIDX DWIDXTR Dorsey Wright Industrials Dorsey Wright Industrials Technical Leaders Total Return Index The Dorsey Wright Industrials Technical LeadersIndex selects a minimum of 30 securities with powerful relative strength characteristics from the Industrials sector. 3/18/ DWTY DWTYTR Dorsey Wright Technology Dorsey Wright Technology Technical Leaders Total Return Index The Dorsey Wright Technology Technical Leaders Index selects a minimum of 30 securities with powerful relative strength characteristics from the Technology sector. 3/18/

18 DWUT DWUTTR Dorsey Wright Utilities Technical LeadersIndex Dorsey Wright Utilities Technical Leaders Total Return Index The Dorsey Wright Utilities Technical LeadersIndex selects a minimum of 30 securities with powerful relative strength characteristics from the Utilities sector. 3/18/ DWANQTL DWANQTLT Dorsey Wright NASDAQ Technical LeadersIndex Dorsey Wright NASDAQ Technical Leaders Total Return Index The Dorsey Wright NASDAQ selects 100 securities with powerful relative strength characteristics that trade on The Nasdaq Stock Market. 1/31/ DWATLSC DWATLSCT Dorsey Wright SmallCap Dorsey Wright SmallCap Technical Leaders Total Return Index The Dorsey Wright SmallCap selects 200 securities with powerful relative strength characteristics from a universe of small cap stocks traded on US Exchanges. 12/29/ DWADM DWATRDM DWADMNTR Dorsey Wright Developed Markets Technical Leaders Index Dorsey Wright Developed Markets Technical Leaders Total Return Index Dorsey Wright Developed Markets Technical Leaders Net Total Return Index The Dorsey Wright Developed Markets Technical Leaders Index selects 100 securities with powerful relative strength characteristics from a universe of large cap securities in countries classified as Developed Markets. 9/28/ DWAEM DWATREM DWAEMNTR Dorsey Wright Emerging Markets Technical Leaders Index Dorsey Wright Emerging Markets Technical Leaders Total Return Index Dorsey Wright Emerging Markets Technical Leaders Net Total Return Index The Dorsey Wright Emerging Markets Technical Leaders Index selects 100 securities with powerful relative strength characteristics from a universe of large cap securities in countries classified as Emerging Markets. 9/28/

19 ABOUT NASDAQ GLOBAL INDEXES Nasdaq Global Indexes has been creating innovative, market-leading, transparent indexes since Today our index offering spans geographies and asset classes and includes diverse families such as the Dividend & Income, Global Equity, Nasdaq BulletShares, Nordic, Green Economy and Commodity Indexes. We continuously offer new opportunities for financial product sponsors across a wide-spectrum of investable products and for asset managers to measure risk and performance. Nasdaq Global Indexes also provides custom index services, data, design and calculation solutions as well as ETP listings. For more information, visit ABOUT NASDAQ, INC. Nasdaq (Nasdaq:NDAQ) is a leading provider of trading, clearing, exchange technology, listing, information and public company services across six continents. Through its diverse portfolio of solutions, Nasdaq enables customers to plan, optimize and execute their business vision with confidence, using proven technologies that provide transparency and insight for navigating today's global capital markets. As the creator of the world's first electronic stock market, its technology powers more than 70 marketplaces in 50 countries, and 1 in 10 of the world's securities transactions. Nasdaq is home to more than 3,500 listed companies with a market value of approximately $9.5 trillion and more than 10,000 corporate clients. To learn more, visit: nasdaq.com/ambition or business.nasdaq.com. DISCLAIMER Neither Nasdaq, Inc. nor any of its affiliates (collectively " Nasdaq ") makes any recommendation to buy or sell any security or any representation about the financial condition of any company. Investors should undertake their own due diligence and carefully evaluate companies before investing. The information contained herein is provided for informational and educational purposes only, and nothing contained herein should be construed as investment advice, either on behalf of a particular security or an overall investment strategy. ADVICE FROM A SECURITIES PROFESSIONAL IS STRONGLY ADVISED. LIMITS OF LIABILITY The Nasdaq, Inc. and its affiliates ( Nasdaq ) assume no liability of any nature (including, but not limited to negligence) for any loss, damages, costs, claims and expenses related to or arising out of the use of the Indexes or any data included therein. Nasdaq expressly disclaims all warranties, expressed or implied, as to the availability, accuracy, uninterrupted calculation, completeness, merchantability or fitness for a particular purpose with respect to the Indexes or any data included therein. Neither Nasdaq nor any third party makes any express or implied warranties or representations with respect to the Indexes, the results to be obtained by their use or the value of the Indexes at any given time. Without limiting any of the foregoing, in no event shall Nasdaq have any liability for any direct damages, lost profits or special, incidental, punitive, indirect, or consequential damages, even if notified of the possibility of such damages.